If I am only bi-curious should I try being penetrated by a woman with a strap on before having a male female male threesome?

I would have to agree with nexxal on this one. Start with a dildo or some other object. Be careful about it. You can try a woman with a strap-on if you so choose but it isn't necessary.
Honestly it might be better to try it with a guy rather than a woman with a strapon because a guy can sense your physical response to having a cock shoved inside you. At any rate the key is patience. Go slow and relax when taking it in. There is no way that you could comfortably take a pounding right away without some prep both physically and psychologically. If you get with someone who is patient and willing to go slow, you'll be surprised how big a cock you will be able to take eventually with relative ease *USE LUBE.

A bi experience with the right woman and man can be the most amazing experience you will ever have.